New York Day 4 -  October 6

Portfolio analysis and construction:

with David Jessop, Managing Director, Global Head of Equities Quantitative  Research, UBS

09:00 Registration and coffee

09:30 Risk models and risk analysis

• Building an equity risk model
• Which sort of risk model is best?
• How much structure is needed?
• How to test risk models

11:00 Morning Break - coffee and informal discussions

11:30 Optimisers and portfolio construction

• What are the problems of optimisation? When should you use it?
• Techniques for overcoming the problems
• Black-Litterman, Bayesian techniques and forecast auditing
• Moving away from mean - variance - other measures of risk

12:45 Lunch

13:45 Alternative weighting schemes - different places to start

• The fallacy of the best weighting scheme and why you can't use backtests to prove one technique is better than another
• A review of other weighting schemes
• What can we use to see which approaches are better?
• How to add factor tilts to a portfolio

15:00 Afternoon Break - coffee and informal discussions

15:30 Putting it all together

• Application to current issues
• Implementation
• Discussion
  

17:00 Q&A - opportunity for further technical questions